Ever since I read today that Goldman Sachs formerly employed a $400,000 programmer, I have been contemplating a career change. What software could Sergey Aleynikov develop that you or I couldn't also develop for $400K per year? Whatever, he knows must be valuable because he apparently left the Goldman job headed for a better one that would have paid him 3 times that amount. He would have that is, if he hadn't been arrested by the FBI.

Sergey is probably not writing any code right now, because he has been charged with "theft of trade secrets" by the FBI after he alledgedly stole codes used for sophisticated automated stock trading, improperly copied proprietary computer code, and then uploaded it to a computer server in Germany.

I don't know the exact details of the blackbox trading application that Sergey wrote to generate huge bonuses for the Goldman traders. But, I bet it involves a mixture of computational finance, low-latency pattern detection, and some voodoo rules from some hotshot trader(likeJim Cramer back in the day).

Shhhh. Use A Complex Event processing Platform (CEP)

Keep this quiet. You can use a complex event processing (CEP) platform to easily detect the patterns in the voluminous stream of market event and then initiate the trades. Don't tell your prospective employer that you intend to use CEP because then they won't want to pay you the big bucks anymore. Instead, they will just buy a CEP platform.

Comments

Mike, it is really not that difficult. CEP won't help here. Raw patterns that one can detect in Raw streams are of no value as one would need to identify the meaning hidden in those patterns. What CEP does today is really not that valuable and certainly not usable for trading.It is a lot easier. You might know that in all trading games the monkey throwing darts at the Financial Times wins. All you need is a random generator. Where models with wide ranging assumptions such as Black-Scholes lead, we have seen. The problem is not the mathematics or the programmers. It is human arrogance.